Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0423
Annualized Std Dev 0.4725
Annualized Sharpe (Rf=0%) -0.0895

Row

Daily Return Statistics

Close
Observations 5257.0000
NAs 1.0000
Minimum -0.3238
Quartile 1 -0.0136
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean -0.0002
Quartile 3 0.0137
Maximum 0.3083
SE Mean 0.0004
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0011
Variance 0.0009
Stdev 0.0298
Skewness 0.2084
Kurtosis 9.5935

Downside Risk

Close
Semi Deviation 0.0206
Gain Deviation 0.0233
Loss Deviation 0.0215
Downside Deviation (MAR=210%) 0.0250
Downside Deviation (Rf=0%) 0.0205
Downside Deviation (0%) 0.0205
Maximum Drawdown 0.9592
Historical VaR (95%) -0.0450
Historical ES (95%) -0.0673
Modified VaR (95%) -0.0411
Modified ES (95%) -0.0411
From Trough To Depth Length To Trough Recovery
2004-02-20 2016-01-21 NA -0.9592 4008 2803 NA
2000-03-15 2002-10-11 2004-01-28 -0.5610 944 627 317
1999-08-03 1999-08-11 2000-02-14 -0.1954 132 7 125
1999-02-08 1999-03-08 1999-04-20 -0.1791 47 18 29
1999-05-17 1999-05-18 1999-06-16 -0.1351 22 2 20

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 4 3.4 1.7 -1.4 -2.1 0.6 1.9 -5.1 0 -1.4 0.6 3.5 5.5
2000 2.6 -3.8 4.3 3.6 4 0.5 6.1 3.8 0 7 3.4 2.1 38.7
2001 -1.7 -0.6 0.7 -3.4 0 1.9 -0.5 2.3 -0.5 -0.4 1.7 0.9 0.3
2002 -0.4 1.5 -0.9 -1.3 0 0 -3.8 -0.5 -3.9 1 -7.2 2 -13.1
2003 0.1 2.2 0.7 -0.9 4.8 -2.1 2.7 -3.8 0.6 -0.3 2.6 0.8 7.3
2004 -0.4 6.3 2.7 0.8 0.8 0.1 0.7 3.2 2.2 3.5 0 1.6 23.6
2005 3.8 3.9 -1.3 -0.5 2.6 0 -0.5 0 0 0 8.9 -2.2 15.2
2006 0.8 0 10.1 -1.9 3.6 0 -0.9 -0.9 1 0.1 -0.5 0 11.3
2007 -1.6 0.5 0 -2.7 -1.4 0 -0.6 0.8 -0.3 -4.4 -0.3 4.2 -5.8
2008 3.5 -0.8 3.5 2.6 0.9 -2.1 -1.4 1.7 -3.8 2.2 -5.5 12.3 12.7
2009 5.9 5.1 1.8 -0.3 -3.1 -2 0.4 -4.6 0 1.5 -5.7 -0.8 -2.5
2010 0.4 -1.5 -5.1 -0.4 -3.8 -4.1 7.5 -3.9 0 -0.5 -3.3 2.1 -12.5
2011 0.5 0.4 -2.8 4.5 0.9 -4.3 2.4 -2.7 1.9 -4.8 -8 4.6 -7.9
2012 0.7 -2.3 2.6 -1.4 -4.4 3.4 0 0 -0.6 0.7 4.3 1.4 4.2
2013 -2.6 -2.3 -4.8 -4.5 1.3 -2 -3.4 0.7 3.5 -0.7 1.4 2.8 -10.5
2014 -2.1 2.8 -3.5 -0.6 1.4 1.3 -4.8 1.2 -4.7 0.7 -3.8 4 -8.3
2015 1.6 0 -2.6 1.7 -1.6 0 0.9 -1.7 -1.9 0 -4 -5.5 -12.6
2016 0 2.1 -2 -1.9 0 -4.5 -5.3 0 2.4 1.4 -1.6 2.5 -6.9
2017 -3.5 -1.4 3.2 2.3 0.8 0.1 0.4 0.7 -0.7 4.4 1.7 2.3 10.4
2018 -4.5 -1.5 -5.2 5.5 1.5 1.5 -0.8 1.2 1.7 -1.8 6.1 6.4 9.6
2019 2.5 0 0.6 2 2.6 2.1 -0.6 1.9 -3 4.8 4 1.2 19.4
2020 0 0 -7.4 -3.5 0 -0.8 -2.3 0 -0.4 0.7 -1.3 0.6 -13.8
2021 0.5 -3.5 1.5 NA NA NA NA NA NA NA NA NA -1.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  6.75 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  6.88 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  6.88 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  6.94 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  6.75 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  6.88 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart